This paper proposes an approximate analytical solution method to calculate counterparty credit risk exposures.Compared with the Standard Approach for measuring Counterparty Credit Risk and the Internal Modeling Method...This paper proposes an approximate analytical solution method to calculate counterparty credit risk exposures.Compared with the Standard Approach for measuring Counterparty Credit Risk and the Internal Modeling Method provided by Basel Committee,the proposed method significantly improves the calculation efficiency based on sacrificing a little accuracy.Taking Forward Rate Agreement as an example,this article derives the exact expression for Expected Exposure.By approximating the distribution of Forward Rate Agreement’s future value to a normal distribution,the approximate analytical expression for Potential Future Exposure is derived.Numerical results show that this method is reliable and is robust under different parameters.展开更多
金融危机暴露了场外衍生交易中存在的交易对手信用风险、其系统性风险特点和危机前对其监管的不足。本文以香港为例,介绍了危机后国际与香港金融监管的演进,并结合香港金管局(Hong Kong Monetary Authority,HKMA)于2018年发布的监管政...金融危机暴露了场外衍生交易中存在的交易对手信用风险、其系统性风险特点和危机前对其监管的不足。本文以香港为例,介绍了危机后国际与香港金融监管的演进,并结合香港金管局(Hong Kong Monetary Authority,HKMA)于2018年发布的监管政策手册CR-G-13《交易对手信用风险管理》,阐述了交易对手信用风险的主要组成、特点、计量方法,及商业银行在满足监管要求和风险管理实践中面临的挑战。展开更多
基金supported by the National Natural Science Foundation of China under grant 62025306。
文摘This paper proposes an approximate analytical solution method to calculate counterparty credit risk exposures.Compared with the Standard Approach for measuring Counterparty Credit Risk and the Internal Modeling Method provided by Basel Committee,the proposed method significantly improves the calculation efficiency based on sacrificing a little accuracy.Taking Forward Rate Agreement as an example,this article derives the exact expression for Expected Exposure.By approximating the distribution of Forward Rate Agreement’s future value to a normal distribution,the approximate analytical expression for Potential Future Exposure is derived.Numerical results show that this method is reliable and is robust under different parameters.
文摘金融危机暴露了场外衍生交易中存在的交易对手信用风险、其系统性风险特点和危机前对其监管的不足。本文以香港为例,介绍了危机后国际与香港金融监管的演进,并结合香港金管局(Hong Kong Monetary Authority,HKMA)于2018年发布的监管政策手册CR-G-13《交易对手信用风险管理》,阐述了交易对手信用风险的主要组成、特点、计量方法,及商业银行在满足监管要求和风险管理实践中面临的挑战。